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Dynamical downscaling is being increasingly used for climate change studies, wherein the climates simulated by a coupled atmosphere-ocean general circulation model (AOGCM) for a historical and a future (projected) decade are used to drive a regional climate model (RCM) over a specific area. While previous studies have demonstrated that RCMs can add value to AOGCM-simulated climatologies over different world regions, it is unclear as to whether or not this translates to a better reproduction of the observed climate change therein. We address this issue over the continental U.S. using the GISS-ModelE2 and WRF models, a state-of-the-science AOGCM and RCM, respectively. As configured here, the RCM does not effect holistic improvement in the seasonally and regionally averaged surface air temperature or precipitation for the individual historical decades. Insofar as the climate change between the two decades is concerned, the RCM does improve upon the AOGCM when nudged in the domain proper, but only modestly so. Further, the analysis indicates that there is not a strong relationship between skill in capturing climatological means and skill in capturing climate change. Though additional research would be needed to demonstrate the robustness of this finding in AOGCM/RCM models generally, the evidence indicates that, for climate change studies, the most important factor is the skill of the driving global model itself, suggesting that highest priority should be given to improving the long-range climate skill of AOGCMs.